This does work, example configuration below.  The <interface> statement after the link-local address and the "%" was the critical bit for me.

Tested on Cisco 15.2(4)M11 - Advanced Enterprise

    R1#sh run | sec bgp
    router bgp 65001
     bgp log-neighbor-changes
     neighbor FE80::2%FastEthernet0/0 remote-as 65002
     !
     address-family ipv4
      no neighbor FE80::2%FastEthernet0/0 activate
     exit-address-family
     !
     address-family ipv6
      neighbor FE80::2%FastEthernet0/0 activate
      neighbor FE80::2%FastEthernet0/0 soft-reconfiguration inbound
     exit-address-family
!

    R2#sh run | sec bgp
    router bgp 65002
     bgp log-neighbor-changes
     neighbor FE80::1%FastEthernet0/0 remote-as 65001
     !
     address-family ipv4
      no neighbor FE80::1%FastEthernet0/0 activate
     exit-address-family
     !
     address-family ipv6
      neighbor FE80::1%FastEthernet0/0 activate
      neighbor FE80::1%FastEthernet0/0 next-hop-self
      neighbor FE80::1%FastEthernet0/0 soft-reconfiguration inbound
     exit-address-family
    !

This link was helpful:  [https://community.cisco.com/t5/networking-blogs/lab-mp-bgp-attributes-manipulation-and-route-redistribution/ba-p/4628153][1]


  [1]: https://community.cisco.com/t5/networking-blogs/lab-mp-bgp-attributes-manipulation-and-route-redistribution/ba-p/4628153